Results 1 to 10 of about 133,716 (312)
Weibo sentiments and stock return: A time-frequency view. [PDF]
PLoS ONE, 2017 This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of ...
Yingying Xu +3 more
doaj +2 more sources
Stock Return and the COVID-19 pandemic: Evidence from Canada and the US [PDF]
Finance Research Letters, 2021 Libo Xu
exaly +2 more sources
Stock Return Predictability: Is it There? [PDF]
Review of Financial Studies, 2001 We ask whether stock returns in France, Germany, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables.
Andrew Ang, Geert Bekaert
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Heteroskedasticity in Stock Returns [PDF]
The Journal of Finance, 1990 ABSTRACTWe use predictions of aggregate stock return variances from daily data to estimate time‐varying monthly variances for size‐ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time‐varying betas. Implications of heteroskedasticity and time‐varying betas for tests of the
Schwert, G William, Seguin, Paul J
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On Stock Market Returns and Returns on Investment [PDF]
The Journal of Finance, 1994 ABSTRACTThis article presents general conditions under which it is possible to obtain asset pricing relations from the intertemporal optimal investment decision of the firm. Under the assumption of linear homogeneous production and adjustment cost functions (the Hayashi (1982) conditions), it is possible to establish, state by state, the equality ...
Restoy, Fernando, Rockinger, G Michael
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The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2018 Many studies have certified the relationship between stock return and trade capacity, however, the results about the effects of this variable’s volatilities in trade volume have been contradictory (Chen 2001).
Roya Aleemran +2 more
doaj +1 more source
THE EFFECT OF FINANCIAL PERFORMANCE ON STOCK RETURN AT MANUFACTURING COMPANY OF INDONESIA STOCK EXCHANGE [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2020 The purpose of this study is to find out the effect of return on investment, earning per share, operational cash flow, economic value added, and market value added towards the stock return at manufacturing companies in Indonesia Stock Exchange.
Juniarta I W., Purbawangsa I.B.A.
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Comoment Risk and Stock Return [PDF]
SSRN Electronic Journal, 2009 AbstractWe estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies that are long and short in coskewness and cokurtosis equity risks; we infer ...
Lambert, Marie, Hübner, Georges
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Multifrequency News and Stock Returns [PDF]
Journal of Financial Economics, 2005 Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of dividend news.
Laurent E. Calvet, Adlai J. Fisher
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REGIME CHANGES IN STOCK RETURNS [PDF]
Journal of Business Finance & Accounting, 1994 This paper studies three sources of instability in parameter estimates of stock return models (1) time‐varying expected mean returns, (2) time‐varying return volatility and (3) changing institutional factors. We model United States stock returns as a function of a constant expected return and financing costs resulting from an institutional feature ...
Nan-Ting Chou, Ramon P. DeGennaro
openaire +2 more sources